Workshop: Stochastic Optimization - Models and Algorithms
Date: May 27 - 29, 2013
Venue: HIM lecture hall, Poppelsdorfer Allee 45
Organizers: Jofré, Rockafellar, and Ziemba
This workshop discussed recent theory and practice in applying stochastic optimization concepts for understanding and solving problems in financial models and economic equilibrium. The three days were organized around various specific topics. The first day began with energy markets in a session oriented to generation/transmission optimization and pricing mechanisms. This was followed by a sessions on stochastic optimization in terms of risk-deviation-utility, duality and time-consistency, along with other subjects related to financial management.
The second day had sessions devoted to (1) portfolio theory and applications, (2) Kelly capital growth theory and applications, and (3) financial market bubbles and crashes: their prediction and entry and exit points. Included in this were issues in portfolio optimization and the pricing of options, as well as capital growth investment criteria.
The third day had market equilibrium as its primary focus. The talks were aimed at the philosophy and stability of equilibrium and the ways in which it may be reached or computed. The modeling and estimation of commodity prices got special attention.